Portfolio Performance Report - 80d Window
6 Jan, 1999 - 23 Feb, 2024

Generated by QuantStats (v. 0.0.77)

Key Performance Metrics

Metric	EQW	^DJI	SPY	MV (80d)	BL (80d)
Risk-Free Rate	0.0%	0.0%	0.0%	0.0%	0.0%
Time in Market	100.0%	100.0%	100.0%	91.0%	99.0%

Cumulative Return	348.15%	320.26%	539.04%	1,005.13%	405.64%
CAGR﹪	6.16%	5.89%	7.67%	10.05%	6.67%

Sharpe	0.39	0.4	0.48	0.62	0.43
Prob. Sharpe Ratio	97.48%	97.76%	99.14%	99.89%	98.32%
Smart Sharpe	0.37	0.38	0.45	0.58	0.4
Sortino	0.55	0.57	0.67	0.87	0.59
Smart Sortino	0.51	0.53	0.63	0.82	0.56
Sortino/√2	0.39	0.4	0.48	0.62	0.42
Smart Sortino/√2	0.36	0.38	0.45	0.58	0.39
Omega	1.08	1.08	1.09	1.12	1.08

Max Drawdown	-62.16%	-53.78%	-55.19%	-45.13%	-60.3%
Max DD Date	2009-03-09	2009-03-09	2009-03-09	2002-12-31	2009-03-09
Max DD Period Start	2007-11-01	2007-10-10	2007-10-10	2000-09-05	2007-11-01
Max DD Period End	2013-10-17	2013-03-04	2012-08-15	2004-08-31	2013-08-08
Longest DD Days	2178	2450	2404	1457	2108
Volatility (ann.)	20.73%	18.55%	19.53%	18.27%	19.72%
Calmar	0.1	0.11	0.14	0.22	0.11
Skew	-0.29	-0.11	-0.01	-0.22	-0.32
Kurtosis	11.27	12.25	11.16	10.11	13.14

Expected Daily	0.02%	0.02%	0.03%	0.04%	0.03%
Expected Monthly	0.5%	0.48%	0.62%	0.8%	0.54%
Expected Yearly	5.94%	5.68%	7.39%	9.68%	6.43%
Kelly Criterion	-	-	-	-	-
Risk of Ruin	-	-	-	-	-
Daily Value-at-Risk	-2.12%	-1.89%	-1.99%	-1.85%	-2.01%
Expected Shortfall (cVaR)	-3.55%	-3.55%	-3.55%	-3.55%	-3.55%

Max Consecutive Wins	-	-	-	-	-
Max Consecutive Losses	-	-	-	-	-
Gain/Pain Ratio	-	-	-	-	-
Gain/Pain (1M)	-	-	-	-	-

Payoff Ratio	-	-	-	-	-
Profit Factor	1.08	1.08	1.09	1.12	1.08
Common Sense Ratio	-	-	-	-	-
CPC Index	-	-	-	-	-
Tail Ratio	0.94	0.96	0.92	1.0	0.93
Outlier Win Ratio	3.76	4.25	4.08	4.62	4.08
Outlier Loss Ratio	3.76	4.29	3.96	3.95	3.95

MTD	2.37%	2.57%	5.17%	4.27%	1.86%
3M	6.97%	10.94%	12.06%	3.64%	4.29%
6M	9.5%	14.12%	16.79%	0.37%	6.18%
YTD	0.09%	3.83%	6.85%	0.3%	-1.91%
1Y	8.61%	18.42%	29.36%	0.73%	5.52%
3Y (ann.)	1.78%	6.31%	10.76%	-2.92%	0.21%
5Y (ann.)	6.14%	9.1%	14.72%	2.39%	4.89%
10Y (ann.)	4.57%	9.29%	12.72%	5.09%	4.09%
All-time (ann.)	6.16%	5.89%	7.67%	10.05%	6.67%

Best Day	14.28%	11.37%	14.52%	11.97%	13.84%
Worst Day	-11.79%	-12.93%	-10.94%	-12.2%	-11.8%
Best Month	16.66%	13.95%	12.7%	15.41%	17.22%
Worst Month	-23.8%	-14.06%	-16.52%	-12.57%	-22.07%
Best Year	48.56%	26.5%	32.31%	70.35%	53.62%
Worst Year	-44.7%	-33.84%	-36.8%	-29.39%	-41.96%

Avg. Drawdown	-3.02%	-2.3%	-2.05%	-3.2%	-2.55%
Avg. Drawdown Days	54	46	32	40	50
Recovery Factor	-	-	-	-	-
Ulcer Index	0.18	0.14	0.17	0.15	0.15
Serenity Index	0.4	0.4	0.46	0.56	0.45

Avg. Up Month	4.41%	3.45%	3.75%	4.57%	4.3%
Avg. Down Month	-4.99%	-4.04%	-4.25%	-4.51%	-4.77%
Win Days	53.3%	53.12%	54.29%	53.6%	53.71%
Win Month	58.61%	60.93%	62.58%	59.44%	59.4%
Win Quarter	63.37%	65.35%	70.3%	66.67%	64.0%
Win Year	65.38%	69.23%	76.92%	73.08%	61.54%

EOY Returns

Year	EQW	^DJI	SPY	MV (80d)	BL (80d)
1999	16.93	22.39	19.28	27.27	7.79
2000	-7.54	-4.22	-7.41	15.79	-6.68
2001	-16.16	-5.12	-10.11	-32.68	-13.17
2002	-9.94	-15.11	-20.83	-21.51	-3.03
2003	40.78	23.95	26.20	43.40	43.87
2004	25.60	3.69	10.78	40.73	23.79
2005	12.62	-0.08	5.25	12.58	14.81
2006	29.23	15.58	15.21	27.39	30.46
2007	15.49	7.29	6.28	34.81	19.13
2008	-48.95	-34.13	-37.36	-21.24	-44.34
2009	41.61	20.17	26.93	56.70	43.43
2010	12.86	11.76	15.63	14.95	10.92
2011	-11.18	7.59	4.53	-13.97	-11.81
2012	21.58	7.69	15.64	8.02	22.19
2013	19.55	24.03	28.62	23.28	17.55
2014	-4.95	7.84	13.27	8.63	-2.97
2015	-0.29	-1.07	2.41	0.02	-0.40
2016	5.44	13.38	12.18	20.74	4.24
2017	24.15	22.61	19.88	18.69	24.83
2018	-12.32	-4.20	-3.23	-6.75	-12.51
2019	20.38	20.94	27.97	14.45	19.89
2020	14.37	13.82	22.47	11.60	12.51
2021	13.35	17.94	26.11	13.95	13.03
2022	-12.96	-7.24	-17.13	-24.93	-14.36
2023	14.26	13.49	24.11	9.87	13.72
2024	0.20	3.81	6.73	0.46	-1.82

Worst 10 Drawdowns

EQW

Started	Recovered	Drawdown	Days
2007-11-01	2013-10-17	-62.16	2178
2000-01-04	2004-01-02	-42.42	1460
2020-01-21	2020-11-13	-36.40	298
2021-11-09	2024-02-23	-30.17	837
2014-07-07	2017-05-01	-24.39	1030
2018-01-29	2019-12-31	-21.06	702
2006-05-10	2006-10-13	-15.78	157
2007-07-13	2007-09-28	-13.07	78
1999-01-07	1999-04-26	-11.73	110
2004-02-18	2004-09-20	-11.43	216

^DJI

Started	Recovered	Drawdown	Days
2007-10-10	2013-03-04	-53.78	1973
2000-01-18	2006-10-02	-37.85	2450
2020-02-13	2020-11-13	-37.09	275
2022-01-05	2023-12-12	-21.94	707
2018-10-04	2019-07-02	-18.77	272
2015-05-20	2016-07-11	-14.48	419
2018-01-29	2018-09-19	-11.58	234
1999-08-26	1999-12-22	-11.53	119
2007-07-20	2007-09-28	-8.25	71
2014-01-02	2014-04-29	-7.26	118

SPY

Started	Recovered	Drawdown	Days
2007-10-10	2012-08-15	-55.19	1772
2000-03-27	2006-10-25	-47.52	2404
2020-02-20	2020-08-07	-33.72	170
2022-01-04	2023-12-12	-24.50	708
2018-09-21	2019-04-11	-19.35	203
2015-07-21	2016-04-15	-13.02	270
1999-07-19	1999-11-16	-11.70	121
2018-01-29	2018-08-03	-10.10	187
2020-09-03	2020-11-10	-9.44	69
2000-01-20	2000-03-16	-9.30	57

MV (80d)

Started	Recovered	Drawdown	Days
2000-09-05	2004-08-31	-45.13	1457
2021-11-15	2024-02-23	-34.87	831
2020-02-20	2020-11-25	-32.95	280
2007-10-30	2009-05-29	-30.76	578
2010-04-06	2010-10-12	-21.76	190
2011-02-18	2013-05-07	-21.62	810
2006-05-09	2006-10-04	-16.08	149
2000-03-06	2000-08-11	-15.65	159
2018-09-21	2019-12-13	-15.52	449
2015-08-11	2016-03-28	-13.94	231

BL (80d)

Started	Recovered	Drawdown	Days
2007-11-01	2013-08-08	-60.30	2108
2018-01-29	2020-11-23	-37.82	1030
2000-01-04	2003-10-15	-34.37	1381
2021-11-09	2024-02-23	-29.97	837
2014-07-07	2017-04-21	-22.61	1020
2006-05-10	2006-10-04	-15.36	148
2004-02-18	2004-09-30	-13.40	226
2007-07-13	2007-09-25	-12.15	75
2007-02-27	2007-03-23	-8.52	25
1999-05-05	1999-09-08	-7.12	127